On the robust superhedging of measurable claims

Dylan Possamaï; Guillaume Royer; Nizar Touzi

doi:10.1214/ECP.v18-2739

On the robust superhedging of measurable claims

Dylan Possamaï, Guillaume Royer, Nizar Touzi

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

Original language	English (US)
Journal	Electronic Communications in Probability
Volume	18
DOIs	https://doi.org/10.1214/ECP.v18-2739
State	Published - Dec 21 2013

Keywords

Quasi-sure stochastic analysis
Robust hedging

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1214/ECP.v18-2739

Cite this

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On the robust superhedging of measurable claims

Abstract

Keywords

ASJC Scopus subject areas

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